Access Statistics for Lucio Sarno

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Cross-Country Financial Accelerator: Evidence from North America and Europe 0 0 0 166 0 0 6 631
A General Randomized Test for Alpha 0 0 5 5 0 2 9 9
A general randomized test for Alpha 0 0 10 11 0 1 22 23
An Economic Evaluation of Empirical Exchange Rate Models 0 0 0 414 1 2 12 797
Arbitrage in the Foreign Exchange Market: Turning on the Microscope 0 0 0 306 0 4 33 1,146
Arbitrage in the Foreign Exchange Market: Turning on the Microscope 0 0 4 157 1 6 29 614
Arbitrage in the foreign exchange market: Turning on the microscope 0 0 0 467 1 3 40 1,808
Assessing the benefits of international portfolio diversification in bonds and stocks 0 0 1 316 0 4 23 1,333
Asset Prices and International Spillovers: An Empirical Investigation 0 0 0 54 0 1 6 211
Asset Prices, Exchange Rates and the Current Account 0 0 0 52 0 0 12 246
Asset prices, exchange rates and the current account 0 0 0 131 0 0 13 334
Asset prices, exchange rates and the current account 0 0 0 378 0 5 88 1,056
Business Cycles and Currency Returns 0 0 1 49 3 5 30 191
Business Cycles and Currency Returns 0 0 0 24 0 1 23 112
Carry Trades and Global FX Volatility 0 1 2 426 4 9 37 1,045
Carry Trades and Global Foreign Exchange Volatility 0 1 1 255 3 11 31 602
Caution or Activism? Monetary Policy Strategies in an Open Economy 0 0 0 56 0 0 14 223
Caution or Activism? Monetary Policy Strategies in an Open Economy 0 0 0 65 1 2 9 214
Caution or Activism? Monetary Policy Strategies in an Open Economy 0 0 0 62 1 1 9 303
Comparing the Accuracy of Density Forecasts from Competing Models 0 0 0 0 0 0 8 349
Currency Momentum Strategies 2 3 5 284 8 25 78 1,594
Currency Momentum Strategies 0 0 2 150 2 6 29 551
Currency Momentum Strategies 0 0 0 102 0 0 22 456
Currency Premia and Global Imbalances 0 2 2 112 0 4 27 374
Currency Risk Premia Redux 0 0 0 6 1 2 11 34
Currency Value 0 0 1 112 0 1 14 191
Currency risk premiums redux? 0 0 1 8 0 0 23 42
Does the law of one price hold in international financial markets? Evidence from tick data 0 0 0 98 1 1 15 269
European Capital Flows and Regional Risk 0 0 0 0 0 1 8 390
Exchange Rate Forecasting, Order Flow and Macroeconomic Information 0 0 1 175 0 3 24 548
Exchange Rates and Fundamentals: Evidence on the Economic Value of Predictability 0 0 0 261 0 1 10 631
Exchange Rates and Fundamentals: Footloose or Evolving Relationship? 0 0 0 174 0 2 21 415
Exchange Rates and Sovereign Risk 0 1 1 17 1 2 23 71
Exchange rate forecasting, order flow and macroeconomic information 0 0 0 299 0 2 11 653
Factor Models of Asset Returns and Bear Market Risk 0 0 0 0 0 0 0 0
Federal Funds Rate Prediction 0 0 0 207 0 0 8 1,938
Federal Funds Rate Prediction 0 0 0 482 0 1 16 6,446
Federal funds rate prediction 0 0 0 329 0 3 14 1,561
Foreign Exchange Intervention: A New Database 0 0 1 42 0 0 16 153
Foreign Exchange Risk and the Predictability of Carry Trade Returns 0 0 0 151 0 0 16 359
Foreign Exchange Volume 0 1 1 14 0 1 8 60
Foreign currency lending 0 0 0 44 0 1 12 283
Foreign exchange intervention: A new database 1 2 2 7 1 2 8 24
Foreign exchange intervention: A new database 0 0 1 58 1 2 20 101
Hot Money, Accounting Labels and the Persistence of Capital Flows to Developing Countries: An Empirical Investigation 0 0 0 0 0 1 10 601
How the Subprime Crisis Went Global: Evidence from Bank Credit Default Swap Spreads 0 0 0 0 0 0 20 22
How the Subprime Crisis Went Global: Evidence from Bank Credit Default Swap Spreads 0 0 0 635 0 3 18 1,542
How well do monetary fundamentals forecast exchange rates? 0 0 2 823 1 2 14 2,525
Information flows in foreign exchange markets: dissecting customer currency trades 1 3 3 139 5 10 25 510
Modelling and Forecasting Stock Returns: Exploiting the Futures Market, Regime Shifts and International Spillovers 0 0 0 365 0 2 17 536
Monetary Fundamentals and Exchange Rate Dynamics Under Different Nominal Regimes 0 0 0 1 0 2 16 416
Monetary Fundamentals and Exchange Rate Dynamics under Different Nominal Regimes 0 0 0 213 0 3 10 608
Monetary Policy Rules, Asset Prices and Exchange Rates 0 0 0 238 0 1 18 663
Monetary policy and learning in an open economy 0 0 0 19 0 0 8 146
Monetary policy and learning in an open economy 0 0 0 148 0 1 12 451
New Evidence on the Forward Unbiasedness Hypothesis in the Foreign Exchange Market 0 0 0 174 1 1 10 394
Non-Linear Dynamics in Deviations from the Law of One Price: A Broad-Based Empirical Study 0 1 1 290 0 1 8 929
Non-Linear Equilibrium Corection in US Real Money Balances, 1869-1997 0 0 0 133 0 0 6 416
Non-Standard Errors 0 0 0 44 1 8 44 484
Non-Standard Errors 0 0 0 27 0 3 20 171
Non-linear dynamics in output, real exchange rates and real money balances: Norway, 1830-2003 0 0 0 203 0 0 14 708
Nonlinear Dynamics, Spillovers and Growth in the G7 Economies: An Empirical Investigation 0 0 0 82 0 0 8 347
Nonlinear Exchange Rate Models: A Selective Overview 0 0 0 348 0 0 5 532
Nonlinear Mean-Reversion in Real Exchange Rates: Towards a Solution to the Purchasing Power Parity Puzzles 0 1 3 957 0 2 32 2,063
Nonlinearity in Deviations From Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle 0 0 1 304 2 3 15 705
Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle 0 0 0 161 0 1 24 487
Nonstandard Errors 0 0 0 0 0 3 30 35
Nonstandard Errors 0 0 0 0 3 5 22 24
Nonstandard Errors 0 0 1 4 2 4 27 47
Nonstandard errors 0 0 1 12 1 3 31 82
Official Intervention in the Foreign Exchange Market: Is It Effective, and, If So, How Does It Work? 1 3 7 934 3 6 32 2,384
Properties of Foreign Exchange Risk Premia 0 0 1 152 1 2 18 438
Properties of Foreign Exchange Risk Premiums 0 0 0 74 0 0 16 182
Properties of Foreign Exchange Risk Premiums 0 0 1 83 0 1 11 272
Purchasing Power Parity and the Real Exchange Rate 0 1 2 1,200 2 9 35 3,836
Real Exchange Rates under the Recent Float: Unequivocal Evidence of Mean Reversion 0 0 0 0 0 0 11 861
Real Interest Rates, Liquidity Constraints and Financial Deregulation: Private Consumption Behaviour in the UK 0 0 0 0 0 1 9 708
Risks and Risk Premia in the US Treasury Market 0 0 2 2 0 0 13 14
Risky Bank Guarantees 0 0 0 14 1 1 4 72
Risky bank guarantees 0 0 0 22 0 0 10 59
Saving-Investment Correlations: Transitory versus Permanent 0 0 0 0 0 1 6 488
Skewness Risk Premia and the Cross-Section of Currency Returns 0 0 0 0 0 1 1 1
Spot and Forward Volatility in Foreign Exchange 0 0 4 581 0 2 25 1,881
The Behaviour of Real Exchange Rates During the Post-Bretton Woods Period 0 0 0 389 1 2 63 1,399
The Dynamic Relationship Between the Federal Funds rate and the Treasury Bill Rate: An Empirical Investigation 0 0 0 564 0 2 24 3,196
The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields 0 0 1 126 0 2 17 445
The Expectation Hypothesis of the Term Structure of Very Short-Term Rates: Statistical Tests and Economic Value 0 0 0 108 0 0 7 468
The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond 0 0 0 522 0 3 18 1,332
The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond 0 0 0 298 0 1 19 821
The Persistence of Capital Inflows and the Behaviour of Stock Prices in East Asia Emerging Markets: Some Empirical Evidence 0 0 1 220 0 0 11 615
The Predictive Information Content of External Imbalances for Exchange Rate Returns: How Much Is It Worth? 0 0 0 114 0 3 15 237
The Predictive Information Content of External Imbalances for Exchange Rate Returns: How Much Is It Worth? 0 0 0 43 0 1 19 190
The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates 0 0 0 246 0 0 28 653
The Scapegoat Theory of Exchange Rates: The First Tests 0 0 0 58 0 2 16 275
The Scapegoat Theory of Exchange Rates: The First Tests 0 0 0 63 0 5 38 259
The Term Structure Of Euromarket Interest Rates: Some New Evidence 0 0 0 194 1 2 9 305
The Trade Imbalance Network and Currency Returns 0 0 0 0 0 0 0 0
The cost of foreign-currency lending 0 0 0 0 0 0 13 29
The dynamic relationship between the federal funds rate and the Treasury bill rate: an empirical investigation 0 0 0 527 0 0 17 2,150
The efficient market hypothesis and identification in structural VARs 0 0 0 253 0 1 13 897
The empirical failure of the expectations hypothesis of the term structure of bond yields 0 0 0 383 0 1 10 825
The expectation hypothesis of the term structure of very short-term rates: statistical tests and economic value 0 0 0 222 0 0 8 757
The scapegoat theory of exchange rates: the first tests 0 0 1 90 0 3 13 445
The scapegoat theory of exchange rates: the first tests 0 0 0 34 0 1 11 173
Volatility Risk Premia and Exchange Rate Predictability 0 0 0 65 0 4 24 207
What Do Stock Markets Tell Us About Exchange Rates? 0 1 1 44 0 1 13 134
What Drives International Portfolio Flows? 0 1 1 103 0 2 21 295
What do stock markets tell us about exchange rates? 0 0 3 91 0 4 28 198
What's unique about the federal funds rate? evidence from a spectral perspective 0 0 0 114 0 1 8 587
When Is Foreign Exchange Intervention Effective? Evidence from 33 Countries 0 0 3 136 0 4 27 295
When is foreign exchange intervention effective? Evidence from 33 countries 0 0 2 101 0 1 46 229
Which Fundamentals Drive Exchange Rates? A Cross-Sectional Perspective 0 0 0 89 0 0 15 286
Total Working Papers 5 22 84 20,105 55 246 2,094 72,733
3 registered items for which data could not be found

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A century of equity premium predictability and the consumption-wealth ratio: An international perspective 0 0 1 93 0 0 9 324
A cross-country financial accelerator: Evidence from North America and Europe 0 0 0 96 1 1 13 268
Adjustment Costs and Nonlinear Dynamics in the Demand for Money: Italy, 1861-1991 0 0 0 88 0 1 11 322
An Economic Evaluation of Empirical Exchange Rate Models 0 0 0 128 0 2 7 312
An empirical investigation of asset price bubbles in Latin American emerging financial markets 0 0 0 186 0 1 14 536
Arbitrage in the foreign exchange market: Turning on the microscope 1 3 16 407 12 20 96 1,526
Asset prices, exchange rates and the current account 0 0 0 119 0 1 18 410
Business cycles and currency returns 0 0 1 44 0 1 22 170
CAUTION OR ACTIVISM? MONETARY POLICY STRATEGIES IN AN OPEN ECONOMY 0 0 0 32 1 1 14 171
Capital Flows to Developing Countries: Long- and Short-Term Determinants 0 0 0 4 1 3 17 1,440
Carry Trades and Global Foreign Exchange Volatility 0 2 5 215 12 27 61 700
Comparing the accuracy of density forecasts from competing models 0 0 0 87 1 1 8 278
Composantes permanente et transitoire de l'épargne et de l'investissement: une étude empirique des flux internationaux de capitaux au Japon 0 0 0 4 0 0 4 63
Currency Premia and Global Imbalances 1 2 6 105 4 12 42 437
Currency Risk Premiums Redux 0 1 5 7 1 5 26 36
Currency Value 0 0 4 82 2 6 27 285
Currency momentum strategies 2 4 17 429 13 47 131 1,482
Deviations from purchasing power parity under different exchange rate regimes: Do they revert and, if so, how? 0 0 0 190 0 2 17 481
Does the law of one price hold in international financial markets? Evidence from tick data 0 0 0 123 0 1 19 616
Empirical exchange rate models and currency risk: some evidence from density forecasts 0 0 0 128 0 0 19 305
Estimating the Mean‐reverting Component in Stock Prices: A Cross‐country comparison 0 0 0 1 0 0 3 7
European Capital Flows and Regional Risk 0 0 0 81 1 2 13 331
Exchange Rates and Fundamentals: Footloose or Evolving Relationship? 0 0 0 211 0 1 16 566
Exchange Rates and Sovereign Risk 0 0 5 12 0 3 32 60
Exchange controls, international capital flows and saving-investment correlations in the UK: An empirical investigation 0 0 0 33 0 0 7 188
Exchange rate and interest rate volatility in the European Monetary System: some further results 0 0 0 49 1 1 9 180
Exchange rate forecasting, order flow and macroeconomic information 0 1 7 321 2 4 39 948
Exchange rates and fundamentals: evidence on the economic value of predictability 0 0 0 237 1 2 33 662
Federal Funds Rate Prediction 0 0 0 0 1 1 7 850
Foreign Exchange Intervention: A New Database 3 3 7 17 4 5 30 67
Foreign Exchange Volume 0 1 3 13 2 8 45 85
Foreign exchange risk and the predictability of carry trade returns 0 1 2 54 0 3 16 206
Global liquidity risk in the foreign exchange market 0 1 2 84 1 2 18 415
Hot money, accounting labels and the permanence of capital flows to developing countries: an empirical investigation 0 0 0 335 0 2 11 1,030
How the Subprime Crisis went global: Evidence from bank credit default swap spreads 0 0 1 147 0 2 33 550
How well do monetary fundamentals forecast exchange rates? 0 0 0 710 1 2 11 1,960
Information Flows in Foreign Exchange Markets: Dissecting Customer Currency Trades 0 0 0 16 0 1 11 148
International real interest rate differentials, purchasing power parity and the behaviour of real exchange rates: the resolution of a conundrum 0 0 0 289 0 0 12 1,100
Mean reversion in stock index futures markets: A nonlinear analysis 0 0 1 6 1 3 17 54
Modelling and forecasting stock returns: exploiting the futures market, regime shifts and international spillovers 0 1 1 2 0 1 10 18
Modelling and forecasting stock returns: exploiting the futures market, regime shifts and international spillovers 0 0 0 232 0 1 11 729
Monetary Fundamentals and Exchange Rate Dynamics under Different Nominal Regimes 0 0 0 158 0 2 12 557
Monetary Policy Rules, Asset Prices, and Exchange Rates 0 0 2 48 1 1 13 181
Moral hazard, asset price bubbles, capital flows, and the East Asian crisis:: the first tests 0 0 2 520 1 3 11 1,141
New evidence on the forward unbiasedness hypothesis in the foreign‐exchange market 0 0 0 0 0 0 9 21
Nonlinear Dynamics, Spillovers and Growth in the G7 Economies: An Empirical Investigation 0 0 0 1 0 0 1 8
Nonlinear Equilibrium Correction in U.S. Real Money Balances, 1869-1997 0 0 0 1 2 2 13 301
Nonlinear Exchange Rate Models: A Selective Overview 0 0 0 25 0 0 8 155
Nonlinear Mean-Reversion in Real Exchange Rates: Toward a Solution to the Purchasing Power Parity Puzzles 0 0 0 2 0 4 28 834
Nonlinear dynamics in deviations from the law of one price: a broad-based empirical study 0 0 1 250 2 4 34 736
Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle 0 0 0 76 0 1 13 275
Nonstandard Errors 1 2 8 46 5 9 53 185
Official Intervention in the Foreign Exchange Market: Is It Effective and, If So, How Does It Work? 0 1 7 1,078 1 8 41 2,753
Policy convergence, the exchange rate mechanism and the misalignment of exchange rates. Some tests of purchasing power parity and generalized purchasing power parity 0 0 0 142 0 0 5 503
Private consumption behaviour, liquidity constraints and financial deregulation in France: a nonlinear analysis 0 0 0 177 1 1 9 804
Properties of foreign exchange risk premiums 0 0 0 92 1 3 8 306
Purchasing Power Parity and the Real Exchange Rate 0 0 2 1,994 0 15 50 4,801
Real Exchange Rate Dynamics in Transition Economies: A Nonlinear Analysis 0 0 0 290 0 1 21 788
Real Interest Rates, Liquidity Constraints and Financial Deregulation: Private Consumption Behavior in the U.K 0 0 1 112 0 0 11 287
Real exchange rate behavior in the Middle East: a re-examination 0 0 1 63 0 2 11 266
Real exchange rate behaviour in high inflation countries: empirical evidence from Turkey, 1980-1997 0 0 1 150 1 1 6 401
Real exchange rates under the recent float: unequivocal evidence of mean reversion 0 0 1 121 2 4 20 380
Risks and risk premia in the US Treasury market 0 0 0 5 1 3 39 54
Risky bank guarantees 0 0 0 19 1 1 16 93
Savings-Investment Correlations: Transitory versus Permanent 0 0 0 0 1 1 4 405
Short‐ and long‐run price level uncertainty under different monetary policy regimes: an international comparison 0 0 1 4 0 1 9 19
Special issue on advances in international money, macro and finance 0 0 0 44 0 0 7 145
Speculative Bubbles in U.K. House Prices: Some New Evidence 0 0 0 4 1 1 14 28
Spot and forward volatility in foreign exchange 1 1 3 147 2 2 20 542
Stochastic growth: Empirical evidence from the G7 countries 0 0 0 11 1 2 16 160
Systematic sampling and real exchange rates 0 0 0 24 0 0 8 97
The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields 0 0 0 66 0 1 38 306
The Feeble Link between Exchange Rates and Fundamentals: Can We Blame the Discount Factor? 0 0 0 1 1 3 13 32
The Feeble Link between Exchange Rates and Fundamentals: Can We Blame the Discount Factor? 0 0 0 58 0 0 17 211
The Predictive Information Content of External Imbalances for Exchange Rate Returns: How Much Is It Worth? 0 0 0 116 0 1 13 393
The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates 0 0 0 160 1 1 14 537
The behavior of US public debt: a nonlinear perspective 0 0 0 127 0 0 9 375
The behavior of real exchange rates during the post-Bretton Woods period 0 1 3 417 3 8 34 1,165
The cost of carry model and regime shifts in stock index futures markets: An empirical investigation 1 1 1 14 2 2 11 65
The cost of foreign-currency lending 1 2 3 11 1 5 22 64
The dynamic relationship between the federal funds rate and the Treasury bill rate: An empirical investigation 0 0 0 284 6 7 21 1,141
The economic value of predicting bond risk premia 0 0 0 38 0 0 12 136
The efficient market hypothesis and identification in structural VARs 0 0 0 163 0 0 11 911
The expectation hypothesis of the term structure of very short-term rates: Statistical tests and economic value 0 0 1 202 0 1 19 717
The market for lemmings: The herding behavior of pension funds 0 0 2 34 0 4 17 151
The out-of-sample success of term structure models as exchange rate predictors: a step beyond 0 0 0 336 0 0 8 937
The scapegoat theory of exchange rates: the first tests 0 0 1 91 1 2 13 352
The temporal relationship between derivatives trading and spot market volatility in the U.K.: Empirical analysis and Monte Carlo evidence 0 0 0 8 0 0 5 33
The trade imbalance network and currency returns 0 0 6 6 0 1 44 44
Time‐Varying Volatility in the Foreign Exchange Market: New Evidence on its Persistence and on Currency Spillovers 0 0 0 9 0 1 16 47
Timing exchange rates using order flow: The case of the Loonie 0 1 1 37 0 1 12 162
Toward a new paradigm in open economy modeling: where do we stand? 0 0 1 27 0 0 10 103
Viewpoint: Towards a solution to the puzzles in exchange rate economics: where do we stand? 0 0 1 388 1 3 27 815
Viewpoint: Towards a solution to the puzzles in exchange rate economics: where do we stand? 1 2 2 7 2 6 21 47
Volatility risk premia and exchange rate predictability 0 0 4 124 5 14 42 451
What Do Stock Markets Tell Us about Exchange Rates? 0 0 0 33 0 3 23 157
What drives international portfolio flows? 0 0 1 70 5 7 26 233
What's Unique About the Federal Funds Rate? Evidence from a Spectral Perspective* 0 0 0 30 1 1 7 182
When Is Foreign Exchange Intervention Effective? Evidence from 33 Countries 0 2 2 10 0 13 34 53
When Is Foreign Exchange Intervention Effective? Evidence from 33 Countries 0 2 3 131 1 7 30 553
Which Fundamentals Drive Exchange Rates? A Cross‐Sectional Perspective 0 0 0 60 1 2 18 188
Total Journal Articles 12 35 146 14,079 118 342 2,056 48,103
1 registered items for which data could not be found

Book File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
The Economics of Exchange Rates 0 0 0 0 4 9 47 813
Total Books 0 0 0 0 4 9 47 813

Chapter File Downloads Abstract Views
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Non-linear Dynamics in Output, Real Exchange Rates and Real Money Balances: Norway, 1830-2003 0 0 0 0 0 1 5 6
Total Chapters 0 0 0 0 0 1 5 6

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Statistics updated 2026-08-07